@techreport{NBERw14710,
title = "Understanding Markov-Switching Rational Expectations Models",
author = "Roger E.A. Farmer and Tao Zha and Daniel F. Waggoner",
institution = "National Bureau of Economic Research",
type = "Working Paper",
series = "Working Paper Series",
number = "14710",
year = "2009",
month = "February",
doi = {10.3386/w14710},
URL = "http://www.nber.org/papers/w14710",
abstract = {We develop a set of necessary and sufficient conditions for equilibria to be determinate in a class of forward-looking Markov-switching rational expectations models and we develop an algorithm to check these conditions in practice. We use three examples, based on the new-Keynesian model of monetary policy, to illustrate our technique. Our work connects applied econometric models of Markov-switching with forward looking rational expectations models and allows an applied researcher to construct the likelihood function for models in this class over a parameter space that includes a determinate region and an indeterminate region.},
}